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Asset market equilibrium with short-selling and differential information Author info | Abstract | Publisher info | Download info | Related research | Statistics Wassin Daher () (CERMSEM )
V. Filipe Martins-da-Rocha () (CEREMADE)
Yiannis Vailakis () (CERMSEM )
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We introduce differential information in the asset market model studied by Cheng (1991), Dana and Le Van (1996)and Le Van and Truong Xuan (2001). An equilibrium existence result is proven assuming that the economy's information structure satisfies the conditional independency property.
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Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number
b05098.
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Length: 27 pages
Date of creation: Dec 2005Date of revision:
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Keywords: Asset market ; differential information ; competitive equilibrium. ; Find related papers by JEL classification: C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis C62 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Existence and Stability Conditions of Equilibrium D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Wassim Daher & V. Martins-da-Rocha & Yiannis Vailakis, 2007.
"Asset market equilibrium with short-selling and differential information ,"
Economic Theory ,
Springer, vol. 32(3), pages 425-446, September.
[Downloadable!] (restricted)
Other versions: Angeloni, Laura & Martins-da-Rocha, V. F., 2007.
"Contract enforcement and incentive compatibility in large economies with differential information: the role of exact feasibility ,"
Economics Working Papers (Ensaios Economicos da EPGE)
647, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
[Downloadable!]
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